Sunday, January 14, 2007
Risk management at exchanges: thinking beyond VaR
The risk management of the NSCC is greatly respected owing to episodes like May 2004, when volatility skyrocketed but the systems worked fine. Jayanth Varma, who did a lot of the early thinking leading up to this risk management system, did a talk at ICRIER on the 9th, as part of their finance seminar series. He spoke about new ideas in risk management, and their possible application to the task of the derivatives clearing corporation.